Online Travel Booking and Bidding Agencies - Risk with one-way tickets?

I'm looking to visit a friend in Mexico for a long weekend.
I'm in NYC, so I have three airports at my disposal. Based on flight departure times for both NYC-CUN and CUN-NYC, it is most convenient for me to go JFK-CUN on AA and return CUN-EWR on Continental. On top of that the two one-way tickets are approximately the same price as a rt ticket on either airline's website.

Is there any risk of buying this way that I should know about before hitting "purchase"? I've only ever flown 2 diff. airlines on one rt to the extent that they were partner airlines and still booked together.

I can't imagine that there would be any problem. Even with countries who demand proof of travel out of the country don't tend to insist that it be on the same airline you came in on :)

I do this all the time (admittedly not to Cancun but to Bermuda, the Bahamas, and other places) and have had no problems. Just make sure your dates are set in stone or you will pay the change fee twice, (instead of once if it had been a round-trip ticket).